Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0678 |
| Annualized Std Dev | 0.2713 |
| Annualized Sharpe (Rf=0%) | -0.2500 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3519.0000 |
| NAs | 1.0000 |
| Minimum | -0.1359 |
| Quartile 1 | -0.0074 |
| Median | 0.0001 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0076 |
| Maximum | 0.3291 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0007 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0003 |
| Stdev | 0.0171 |
| Skewness | 1.2542 |
| Kurtosis | 45.7381 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0122 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0134 |
| Downside Deviation (MAR=210%) | 0.0168 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.7847 |
| Historical VaR (95%) | -0.0239 |
| Historical ES (95%) | -0.0409 |
| Modified VaR (95%) | -0.0059 |
| Modified ES (95%) | -0.0059 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-18 | 2020-03-23 | NA | -0.7847 | 3507 | 3256 | NA |
| 2007-04-10 | 2007-04-10 | 2007-04-12 | -0.0036 | 3 | 1 | 2 |
| 2007-03-29 | 2007-03-29 | 2007-04-04 | -0.0012 | 5 | 1 | 4 |
| 2007-04-13 | 2007-04-13 | 2007-04-16 | -0.0004 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | 0 | 0 | 0.9 | 2.2 | -1.3 | 4.1 | -0.1 | -2.3 | 0.9 | 0.4 | 4.7 |
| 2008 | 1.9 | -1.5 | 1.6 | 0 | -0.3 | -3.9 | -1.3 | -0.4 | 2.5 | 0.4 | -2.9 | 2.3 | -1.9 |
| 2009 | -0.3 | 0.1 | -6.4 | 2.5 | 4 | 0.3 | 1.4 | 0.4 | -5.7 | -4.8 | 2.1 | 0.1 | -6.8 |
| 2010 | 2.9 | 1.4 | -1.1 | -2.1 | -1 | -5.6 | 1 | 3.8 | -1.6 | 0.7 | 2.7 | 0.3 | 1 |
| 2011 | 1.7 | -0.4 | -2 | 0.6 | -1.3 | -2 | -0.3 | 0.2 | -8.4 | -0.7 | -0.1 | -1.1 | -13.2 |
| 2012 | 1.3 | 0.5 | 0.7 | 0.4 | 0.1 | 2.8 | 0.6 | 0.3 | -2.7 | 0.9 | 0.5 | 1.2 | 6.8 |
| 2013 | 0.9 | 0.4 | -1.7 | -1.1 | -2.5 | -1.5 | 0.5 | -0.4 | -1.6 | -0.4 | 0.5 | -0.3 | -6.9 |
| 2014 | 0 | 0.2 | -1.8 | -0.3 | 0.5 | -2.1 | -0.1 | 0.2 | -2.9 | 0.8 | -1.3 | 0.7 | -6.1 |
| 2015 | -1.1 | 0.5 | -2.2 | 0.1 | -0.5 | -1.6 | 0.5 | -1.3 | -0.7 | 0 | 0.5 | 0 | -5.6 |
| 2016 | -0.1 | 1.9 | -3.8 | -0.8 | 0.2 | -1.8 | -0.8 | 0.9 | -1 | -0.3 | 0.4 | 0.1 | -4.9 |
| 2017 | -0.3 | 0.2 | 0.7 | 0.3 | 0.4 | 0.7 | 0 | 0.6 | 0.7 | 0.9 | 0.2 | 0.2 | 4.6 |
| 2018 | -1.3 | -0.6 | 4.6 | -1 | 3.1 | 1.4 | -0.7 | 0 | -2.3 | 1.5 | -0.8 | 0.4 | 4.2 |
| 2019 | -0.3 | 0.6 | -1.8 | 1.1 | 2.2 | -2.5 | -2.7 | 1.1 | -4.5 | 1.4 | -0.1 | 1.2 | -4.4 |
| 2020 | -1.1 | -4 | -6.6 | -3.8 | 1.9 | -2 | -0.3 | 0.6 | -4 | -0.5 | 1 | -0.9 | -18.2 |
| 2021 | 0.9 | 1.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-03-28 25.0 SPY 142. -0.0073 -0.0103 0.0166 0.0076 0.0908 0.278 0.241 GLD 66.0 5.30e-3 0.0035
2 2007-03-29 25 SPY 142. 0.0011 -0.0085 0.0074 0.0028 0.0987 0.279 0.239 GLD 65.6 -6.10e-3 -0.0017
3 2007-03-30 25 SPY 142 0.0002 -0.0097 0.0106 -0.0036 0.0921 0.261 0.24 GLD 65.7 1.40e-3 0.0091
4 2007-04-02 25 SPY 142. 0.0011 -0.0073 0.0252 -0.0004 0.0952 0.258 0.241 GLD 65.8 1.70e-3 0.0002
5 2007-04-03 25 SPY 144. 0.0108 0.00580 0.0462 0.0146 0.107 0.270 0.261 GLD 65.8 -3.00e-4 0.002
6 2007-04-04 25.0 SPY 144. 0.0011 0.0143 0.0297 0.0175 0.109 0.264 0.271 GLD 66.8 1.49e-2 0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
